Modern Portfolio Theory and Investment Analysis, 8th Edition
November 2009, ©2010
An update of a definitive investment text, Modern Portfolio Theory is a comprehensive guide to asset allocation, portfolio optimization, asset pricing models, and securities analysis, with an emphasis on practical, empirical methodology and technique. The 8th edition been updated with new developments in behavioral finance and choice theory, recent results in asset pricing models, new research on hedge funds and mutual funds, and novel approaches to optimization, including the liability framework and simulation methods for investment decision making and risk analysis.
Chapter 1. Introduction.
Chapter 2. Financial Securities.
Chapter 3. Financial Markets.
PART 2: Portfolio Analysis.
Section 1: Mean Variance Portfolio Theory.
Chapter 4. The Characteristics of the Opportunity Set Under Risk.
Chapter 5. Delineating Efficient Portfolios.
Chapter 6. Techniques for Calculating the Efficient Frontier.
Section 2: Simplifying the Portfolio Selection Process.
Chapter 7. The Correlation Structure of Security Returns: The Single-Index Model.
Chapter 8. The Correlation Structure of Security Returns: Multi-Index Models and grouping Techniques.
Chapter 9. Simple Techniques for Determining The Efficient Frontier.
Section 3: Selecting the Optimum Portfolio.
Chapter 10. Estimating Expected Returns.
Chapter 11. How to Select Among the Portfolios in the Opportunity Set.
Section 4: Widening the Selection Universe.
Chapter 12. International Diversification.
PART 3: Models of Equilibrium in the Capital Markets.
Chapter 13. The Standard Capital Asset Pricing Model.
Chapter 14. Nonstandard Forms of Capital Asset Pricing Models.
Chapter 15. Empirical Tests of Equilibrium Models.
Chapter 16. The Arbitrage Pricing Model APT-A Multifactor Approach to Explaining Asset Prices.
PART 4: Security Analysis and Portfolio Theory.
Chapter 17. Efficient Markets.
Chapter 18. The Valuation Process.
Chapter 19. Earnings Estimation.
Chapter 20. Behavioral Finance, Investor Decision making, and Asset Prices.
Chapter 21. Interest Rate Theory and the Pricing of bonds.
Chapter 22. The Management of bond Portfolios.
Chapter 23. Option Pricing Theory.
Chapter 24. The Valuation and Uses of Financial Futures.
PART 5: Evaluating the Investment Process.
Chapter 25. Evaluation of Portfolio Performance.
Chapter 26. Evaluation of Security Analysis.
Chapter 27. Portfolio Management Revisited.
Martin J. Gruber is Nomura Professor of Finance and past chairman of the Finance Department at the Stern School of Business of New York University. He is a fellow of the American Finance Association. He has published nine books and more than 100 journal articles in journals such as The Journal of Finance, The Review of Financial Studies, Review of Economics and Statistics, Journal of Financial Economics, Journal of Business, Management Science, Journal of Financial and Quantitative Analysis, Operations Research, Oxford Economic Papers, and The Journal of Portfolio Management. He has been coeditor of the Journal of Finance. He has been president of the American Finance Association, a director of the European Finance Association, a director of the American Finance Association, and a director of both the Computer Applications Committee and the Investment Technology Symposium of the New York Society of Security Analyst. He was formerly Finance Department editor for Management Science. Professor Gruber has consulted in the areas of investment analysis ad portfolio management with many major financial institutions. He is currently a director of the Daiwa closed- end funds. He is formerly a Director of TIAA,Director and Chairman of CREF, Director of DWS Mutual Funds, and Director of the SG Cowen Mutual Funds.
Stephen J. Brown is David S. Loeb Professor of Finance and Coordinator of undergraduate finance at the Leonard N. Stern School of Business, New York University. He has served as president of the Western Finance Association and on the board of directors of the American Finance Association, was a founding editor of The Review of Financial Studies, is a managing editor of the Journal of Financial and Quantitative Analysis, and has served on the editorial boards of The Journal of Finance, Pacific-Basin Finance Journal, and other journals. He has published numerous articles and four books on finance and economics-related areas. He has served as an expert witness for the U.S. Department of Justice and has testified on his research before a Full Committee Hearing of the U.S. Congress House Financial Services Committee in March 2007.
William N. Goetzmann is Edwin J. Beinecke Professor of Finance and Management Studies and director of the International center for Finance at the Yale School of Management. He is currently president of the Western Finance Association and has served on the board of directors of the American Finance Association, His published research topics include global investing, forecasting stock markets, selecting mutual fund manager, housing as investment, and the risk and return of art Professor Goetzmann has a background in arts and media management. As a documentary filmmaker, he has written and coproduced programs for Nova and the American Masters series, including a profile of the artist Thomas Eakins. A former director of Denver's Museum of Western Art, Professor Goetzmann coauthored the award-winning book The West of the Imagination.
- The new edition has preserved the traditional strengths of earlier editions. It stresses the economic intuition behind the subject matter while presenting step-by-step mathematical tools for investment analysis and portfolio management. It combines a "how to" approach with the fundamental "whys" about asset allocation and asset pricing and investment markets.
- The eighth edition also discusses financial instruments and strategies in the context of the current financial crisis.
- Offers more problems so that readers can test their knowledge.
- Provides additional charts and graphs to help simplify equations.
- Integrates real-world examples throughout the pages to reinforce important concepts.
- Shows how to apply modern tools such as equilibrium theory to the management of a portfolio.
- Includes behavioral finance.
- The hallmark features of the eight edition of Modern Portfolio Theory include the integration of real-world examples throughout the pages to reinforce important concepts, clear demonstrations of how to apply modern tools such as equilibrium theory to the management of a portfolio and up-to-date material reflecting recent developments in financial theory and practice.